Kjeldsen's bogey-free 63 equaled the Tolcinasco Golf and Country Club course record set by Richard Finch last year and gave him a two-shot lead over England's Benn Barham.
Standing one stroke behind Barham at 6-under-par 66 are Philip Archer, Gregory Bourdy, Andrew Butterfield, Gregory Havret, James Hepworth, Michael Kirk and Alessandro Tadini, the top Italian finisher in the first round.
There are 11 players tied one stroke further back at minus-5, and a total of 110 players who were even-par or better on Thursday.
Kjeldsen managed to stay ahead of them all.
'The course was playing quite short, but the main thing is that the greens are playing so well and it's possible to make a lot of putts,' Kjeldsen said. 'They are not that hilly either, and are just very pure. The rough isn't up as much as it was last year...the conditions were just perfect today.'
Teeing off on the back nine in one of the earliest groups, Kjeldsen began his round with four straight birdies to vault to the top of the leaderboard.
Kjeldsen followed the birdies with three pars in a row, then moved to 5 under around the turn after he birdied the 17th. Four more birdies on the front nine -- at the first, third, fifth and ninth -- gave the Dane his two-shot lead.
Kjeldsen, 30, holds a first-round lead for the first time in his European Tour career. He has not won since claiming his only title at The Diageo Championship at Gleneagles in 2003.
'I've been playing well but just had some bad Sundays,' Kjeldsen said. 'I just haven't finished the job because I've been getting into the habit of becoming a little tense on Sundays.'
This season, Kjeldsen has four top-25 finishes in 11 events, but has not placed better than a tie for 18th at the UBS Hong Kong Open in December.
'I feel I have been playing well enough and I want to see the results,' said Kjeldsen. 'It's just a case of trying to stay more relaxed like I was today.'
Barham also completed a bogey-free round Thursday. It was deserving of the top spot, but Kjeldsen's record-tying performance got in the way.
Beginning on the back nine, Barham started out with four straight pars before getting into red numbers with three birdies over the following four holes. He added another birdie at the first, and three more at the third, seventh and ninth.
Barham, 30, collected two of his birdies on par threes and two on par-5s, with his final birdie at the par-5 ninth placing him ahead of the pack knotted at 6 under.
A Challenge Tour player last year, Barham has missed the cut in seven of his 10 starts on the European Tour this season. He has recently been working with sports psychologist John Pates.
'Technically I have been happy with my game for a while,' said Barham. 'I played great on the Challenge Tour last season and this year I have forgotten about getting it round the course and making a score. John has reminded of the fact that's what you need to do to win tournaments.'
Among the 11 players tied for 10th place at 5 under is Matteo Del Podio, an Italian amateur. Fellow Italians Alessio Bruschi and Francesco Molinari are among a group of 10 knotted one stroke further back in 21st.